Browsing All of EconStor by Author Ardia, David

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Showing results 1 to 9 of 9
Year of PublicationTitleAuthor(s)
2008 Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient SimulationArdia, David; Hoogerheide, Lennart F.; van Dijk, Herman K.
2009 To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal LikelihoodsArdia, David; Hoogerheide, Lennart; van Dijk, Herman K.
2010 Efficient Bayesian Estimation and Combination of GARCH-Type ModelsArdia, David; Hoogerheide, Lennart F.
2010 A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal LikelihoodsArdia, David; Basturk, Nalan; Hoogerheide, Lennart; van Dijk, Herman K.
2010 Bayesian Estimation of the GARCH(1,1) Model with Student-t InnovationsArdia, David; Hoogerheide, Lennart F.
2013 GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall ForecastsArdia, David; Hoogerheide, Lennart
2014 A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: An Application to Risk AnalysisArdia, David; Gatarek, Lukasz; Hoogerheide, Lennart F.
2016 Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock pricesArdia, David; Gatarek, Lukasz T.; Hoogerheide, Lennart; van Dijk, Herman K.
2020 Climate change concerns and the performance of green versus brown stocksArdia, David; Bluteau, Keven; Boudt, Kris; Inghelbrecht, Koen